Highly fluorescent and water-soluble cadmium selenide quantum dots (QDs) functionalised by thio-cyclodextrin (HS-CD) and mercaptoacetic acid (MAA) as surface coating agents (QDs-CD-MAA) were synthesised successfully. The synthesised hybrid nanomaterials, QDs-CD-MAA, were able to form water-soluble complexes with paclitaxel and folic acid. QDs and their complexes were characterised by usual spectroscopy and microscopy methods. Size and morphology of functionalised QDs were dependent on their capping agents and guest molecules. Short-term in vitro cytotoxicity tests on mouse tissue connective fibroblast adhesive cells (L929) showed that conjugation of CD molecules onto the surface of QDs increases the rate of their internalisation into the cells, more than two times, compared with that without conjugated CD molecules. To prove the efficacy of functionalised QDs-CD-MAA and their host–guest systems, we subjected them to the endocytosis inside the cancer cells (tumour cell lines c26), then it was unambiguously proved that conjugation of CD molecules onto the surface of QDs increases the internalisation of anti-cancer drugs into the cells and consequently killing of cancer cells, thereby forming a solid foundation for further investigation and development.